Norma Jean & Marilyn(1996) [Marilyn Monroe]: Dies of a sleeping pill overdose. Contradicting the actual events of history, the movie shows her dying in the ambulance rather than being found dead at the scene.

Joan of Arc: The Virgin Warrior (2000) [Joan of Arc]: Burned at the stake. (I don't know whether this movie has even been completed yet, much less whether it actually depicts her death.)